Fixing and extending some recent results on the ADMM algorithm
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Publication:2225529
DOI10.1007/S11075-020-00934-5zbMATH Open1489.65082arXiv1612.05057OpenAlexW3025850383MaRDI QIDQ2225529FDOQ2225529
Authors: Sebastian Banert, Radu I. Boţ, Ernö Robert Csetnek 
Publication date: 8 February 2021
Published in: Numerical Algorithms (Search for Journal in Brave)
Abstract: We investigate the techniques and ideas used in the convergence analysis of two proximal ADMM algorithms for solving convex optimization problems involving compositions with linear operators. Besides this, we formulate a variant of the ADMM algorithm that is able to handle convex optimization problems involving an additional smooth function in its objective, and which is evaluated through its gradient. Moreover, in each iteration we allow the use of variable metrics, while the investigations are carried out in the setting of infinite dimensional Hilbert spaces. This algorithmic scheme is investigated from the point of view of its convergence properties.
Full work available at URL: https://arxiv.org/abs/1612.05057
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Cited In (15)
- An alternating direction method of multipliers with the BFGS update for structured convex quadratic optimization
- Continuous dynamics related to monotone inclusions and non-smooth optimization problems
- First-order methods for convex optimization
- A linearly convergent majorized ADMM with indefinite proximal terms for convex composite programming and its applications
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- An inertial alternating direction method of multipliers
- Automated tight Lyapunov analysis for first-order methods
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